CBU Options History — October 2016

In October 2016, CBU traded between $46.32 and $48.65. ATM implied volatility averaged 20.1%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.2% (HV 20d: 18.0%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.22.

Notable Days

2016-10-11: Highest Volume — 478 contracts
2016-10-21: Largest IV spike — 24.4% change
2016-10-17: Highest IV Rank — 7.7%
2016-10-17: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.43	$46.32	$48.65	$47.36	$47.12
Max Pain	$41.43	$40.00	$50.00	$50.00	$40.00
ATM IV	20.1%	14.9%	23.6%	22.4%	23.4%
Expected Move	5.9%	4.4%	6.8%	6.4%	6.7%
HV 20d	18.0%	16.4%	19.4%	17.7%	16.4%
HV 60d	15.0%	14.5%	15.6%	15.1%	15.3%
IV Rank	4.5%	0.0%	7.7%	5.1%	7.6%
IV Percentile	20.1%	0.0%	38.5%	30.6%	38.5%
Term Structure	1.4%	-2.2%	12.4%	-0.3%	7.5%
VWIV	22.7%	21.1%	24.5%	23.1%	23.5%
Skew 25d	3.6%	0.6%	10.7%	2.1%	10.7%
Skew 10d	1.6%	-22.5%	12.5%	-4.4%	12.3%
Call IV 25d	19.1%	15.5%	21.9%	20.9%	15.5%
Put IV 25d	22.6%	20.5%	26.2%	23.0%	26.2%
Bid-Ask Spread %	99.44	90.90	112.71	105.25	112.71
Gamma HHI	0.54	0.41	0.74	0.41	0.54
Net GEX	50.6K	12.3K	78.9K	12.3K	78.9K
Net DEX	-1.2M	-1.6M	-849.7K	-849.7K	-1.2M
Net VEX	-4.9K	-5.8K	-2.9K	-3.1K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.61	1.66	1.61	1.47
Total Volume	333.81	199	478	298	215
Total OI	818.714	619	951	619	835

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-10-03	$47.36	$50.00	22.4%	6.4%	17.7%	5.1%	23.1%	2.1%	-0.3%	12.3K	-849.7K	-3.1K	1.61	105.25	114	184	398	221
2016-10-04	$47.42	$50.00	19.3%	5.5%	17.3%	2.8%	23.9%	3.5%	7.2%	13.6K	-871.2K	-3.1K	1.61	104.58	114	184	401	221
2016-10-05	$47.99	$50.00	15.2%	4.4%	17.7%	0.0%	24.5%	4.7%	-0.4%	17.7K	-1.0M	-3.0K	1.61	109.09	114	184	401	221
2016-10-06	$48.12	$40.00	14.9%	5.1%	17.6%	0.0%	21.3%	3.4%	0.7%	21.5K	-1.0M	-2.9K	0.79	95.25	234	184	401	221
2016-10-07	$47.94	$40.00	16.2%	5.0%	17.7%	1.0%	21.2%	3.2%	0.4%	51.8K	-1.4M	-5.1K	0.79	94.17	234	184	612	221
2016-10-10	$48.65	$40.00	16.1%	5.0%	18.4%	0.9%	21.1%	3.8%	0.8%	67.0K	-1.6M	-4.9K	0.79	93.26	234	184	612	221
2016-10-11	$48.30	$40.00	17.7%	5.3%	17.2%	2.1%	22.8%	4.2%	0.4%	56.3K	-1.5M	-5.0K	1.04	92.27	234	244	612	221
2016-10-12	$47.99	$40.00	18.7%	5.4%	17.0%	3.4%	23.3%	4.1%	0.7%	44.5K	-1.3M	-5.8K	1.04	96.48	234	244	612	281
2016-10-13	$47.22	$40.00	23.1%	6.6%	18.1%	7.3%	23.3%	3.3%	-1.2%	36.8K	-1.0M	-5.8K	1.02	92.06	234	239	612	281
2016-10-14	$47.55	$40.00	19.0%	5.5%	18.1%	3.7%	23.6%	3.8%	0.3%	40.0K	-1.2M	-5.8K	1.02	91.80	234	239	612	282
2016-10-17	$46.91	$40.00	23.6%	6.8%	18.9%	7.7%	23.6%	3.0%	-1.9%	31.9K	-970.2K	-5.4K	1.04	94.11	230	239	612	282
2016-10-18	$47.18	$40.00	22.9%	6.6%	18.8%	7.2%	22.9%	2.8%	-1.4%	37.5K	-1.1M	-5.4K	0.63	98.22	230	144	613	282
2016-10-19	$47.86	$40.00	18.7%	5.3%	19.4%	3.4%	23.0%	3.5%	-0.2%	45.6K	-1.3M	-5.4K	0.61	93.56	237	144	613	281
2016-10-20	$47.53	$40.00	18.5%	5.3%	19.0%	3.2%	23.0%	3.6%	0.6%	42.6K	-1.2M	-5.4K	1.66	95.30	87	144	620	281
2016-10-21	$47.46	$40.00	23.1%	6.6%	19.0%	7.3%	22.9%	3.5%	-2.1%	77.0K	-1.3M	-5.7K	1.66	90.90	87	144	670	281
2016-10-24	$46.60	$40.00	23.0%	6.6%	18.7%	7.2%	23.0%	2.6%	12.4%	75.9K	-1.1M	-5.3K	1.29	99.25	87	112	670	149
2016-10-25	$46.91	$40.00	21.4%	6.1%	18.7%	5.8%	21.5%	2.4%	1.9%	78.0K	-1.2M	-5.4K	1.47	109.28	87	128	670	165
2016-10-26	$46.94	$40.00	21.7%	6.2%	17.9%	6.1%	21.8%	0.6%	6.3%	78.4K	-1.2M	-5.4K	1.47	100.28	87	128	670	165
2016-10-27	$46.74	$40.00	22.1%	6.3%	17.7%	6.4%	22.1%	0.7%	-2.2%	77.6K	-1.1M	-5.1K	1.47	108.03	87	128	670	165
2016-10-28	$46.32	$40.00	22.1%	6.3%	16.5%	6.4%	22.1%	5.5%	-0.8%	77.1K	-1.0M	-4.9K	1.47	112.36	87	128	670	165
2016-10-31	$47.12	$40.00	23.4%	6.7%	16.4%	7.6%	23.5%	10.7%	7.5%	78.9K	-1.2M	-5.1K	1.47	112.71	87	128	670	165